Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics (Q3426320)
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scientific article; zbMATH DE number 5132260
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| English | Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics |
scientific article; zbMATH DE number 5132260 |
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Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics (English)
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8 March 2007
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Black-Merton-Scholes model
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fractional Brownian motion
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absence of arbitrage
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0.9597404599189758
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0.8671138286590576
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0.864802360534668
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